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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
Persistent link: https://www.econbiz.de/10009580154
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to Sharpe (1964) and Lintner (1965), when the number of securities, N, is large relative to the time dimension, T, of the return series. In the case of cross-sectionally correlated...
Persistent link: https://www.econbiz.de/10009535779
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Testing CAPM with a large number of assets
Pesaran, M. Hashem; Yamagata, Takashi - 2012
Persistent link: https://www.econbiz.de/10009535935
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Analysis of the Intraday Effects of Economic Releases on the, Currency Market
Rezania, Omid; Račev, Svetlozar T.; Sun, Edward; … - 2010
estimation ; economic release ; wavelet ; high frequency …
Persistent link: https://www.econbiz.de/10008654275
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Analysis of the intraday effects of economic releases on the currency market
Sun, Edward W.; Rezania, Omid; Račev, Svetlozar T.; … - In: Journal of international money and finance 30 (2011) 4, pp. 692-707
Persistent link: https://www.econbiz.de/10009268786
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Nonlinear dynamics in deviations from the law of one price : a broad-based empirical study
Sarno, Lucio; Taylor, Mark P.; Chowdhury, Ibrahim - In: Journal of international money and finance 23 (2004) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10001896351
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Non-linear dynamics in deviations from the law of one price : a broad-based empirical study
Sarno, Lucio - 2002
Persistent link: https://www.econbiz.de/10013423980
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …
Persistent link: https://www.econbiz.de/10011630054
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Testing for alpha in linear factor pricing podels with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
-Gaussianity and general forms of weakly cross correlated errors. It does not require estimation of an invertible error covariance …
Persistent link: https://www.econbiz.de/10011646274
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Testing for alpha in linear factor pricing models with a large number of securities
Pesaran, M. Hashem; Yamagata, Takashi - 2017
Persistent link: https://www.econbiz.de/10011670177